Self-exciting price impact via negative resilience in stochastic order books
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Publication:6385032
DOI10.1007/s10479-022-04973-0arXiv2112.03789OpenAlexW4297422538MaRDI QIDQ6385032
Julia Ackermann, Thomas Kruse, Mikhail A. Urusov
Publication date: 7 December 2021
Full work available at URL: https://doi.org/10.1007/s10479-022-04973-0
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial markets (91G15)
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